I think Mandelbrot himself is the origin. My understanding is that he added/changed it in order to make that joke. I’d love confirmation of that (or information about his birth name; I don’t know whether he had a middle name when he was born).

Fascinating! My poking around suggests he was born with no middle initial, and added it himself later in life, but never confirmed that the “fractal name” property was the reason. Strange and wonderful man.